Informed trading and the 'leakage' of information

• 成果类型: Article
• 署名作者: Goenka, A
• 署名单位: University of Essex
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/S0022-0531(03)00018-8
• 发表日期: 2003
• 页码: 360-377
• 关键词: informed trading; strategic market games; Market microstructure; Information revelation; arrival of information; market efficiency

摘要

This paper examines the effect of 'leakage' of information, private information becoming available to uninformed traders at a later date, on information acquisition and revelation. Using a Shapley-Shubik market game framework it is shown that (a) if information acquisition by the informed traders is costless, this leads to faster revelation of information; (b) if information acquisition is costly, there may be no acquisition of information; (c) information leakage leads to a fall in value of information but does not affect the incentive for informed traders to sell the information. (C) 2003 Elsevier Science (USA). All rights reserved.